Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0581 |
| Annualized Std Dev | 0.2251 |
| Annualized Sharpe (Rf=0%) | 0.2582 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3634.0000 |
| NAs | 1.0000 |
| Minimum | -0.1023 |
| Quartile 1 | -0.0054 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1071 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -0.3565 |
| Kurtosis | 8.3765 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0104 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0103 |
| Downside Deviation (0%) | 0.0103 |
| Maximum Drawdown | 0.6388 |
| Historical VaR (95%) | -0.0217 |
| Historical ES (95%) | -0.0354 |
| Modified VaR (95%) | -0.0220 |
| Modified ES (95%) | -0.0413 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-12 | 2009-03-09 | 2013-10-24 | -0.6388 | 1520 | 353 | 1167 |
| 2020-02-13 | 2020-03-23 | 2020-11-09 | -0.3956 | 188 | 27 | 161 |
| 2018-01-29 | 2018-12-24 | 2020-01-14 | -0.2534 | 494 | 229 | 265 |
| 2014-06-10 | 2016-01-20 | 2016-11-22 | -0.1829 | 621 | 407 | 214 |
| 2007-07-20 | 2007-08-15 | 2007-10-05 | -0.1188 | 55 | 19 | 36 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | 0.4 | -0.7 | -0.6 | 0.2 | -0.7 |
| 2007 | 1.1 | -0.5 | 0 | -0.1 | 0.5 | -0.1 | -0.1 | 2 | 1.3 | -2.3 | 1 | -1.1 | 1.4 |
| 2008 | 3.6 | -2.2 | 2.4 | 1.1 | 0.9 | -0.7 | -1.6 | -0.3 | -1.4 | 0.8 | -8 | 3 | -2.9 |
| 2009 | -2.8 | -1.5 | 1.8 | 0.6 | 4.5 | 1.7 | 1.4 | -2.2 | -2.9 | -3.1 | 2.9 | -0.4 | -0.5 |
| 2010 | 1.1 | 0.8 | 1.4 | -1.4 | -1.7 | 0.5 | 0 | 4.1 | 0 | 0 | 2.7 | 0.2 | 8 |
| 2011 | 1.6 | -1.3 | 0.6 | 0.2 | -2.1 | 1.4 | -1.1 | -1.4 | -3.5 | -3.5 | -0.1 | 0.1 | -9 |
| 2012 | 1.2 | 0.6 | 0.7 | 0.7 | -3.2 | 3.5 | -0.3 | 0.7 | 0.6 | 1.6 | 0.5 | 1.2 | 7.8 |
| 2013 | 1 | -0.1 | -1.3 | -1.2 | -1.6 | 1.5 | 1.1 | -1 | 0.6 | -0.2 | -0.2 | 0.5 | -0.9 |
| 2014 | -1.1 | 0.7 | 0.4 | 0 | 0 | 0.7 | -0.4 | -0.1 | -1.8 | 1.5 | -0.6 | -1.1 | -1.8 |
| 2015 | -1.4 | 0 | -0.4 | 0.8 | 0 | 0.6 | 0.3 | -2.8 | 0.1 | 0.3 | 0.6 | -0.9 | -3 |
| 2016 | 0 | 2 | -0.6 | -0.3 | 0 | 0.3 | -0.6 | 0.2 | 0.6 | -0.8 | 0.5 | -0.3 | 1 |
| 2017 | 0.3 | 1.4 | -0.4 | 0.2 | 0.8 | 0.7 | 0.3 | 0.2 | 0.3 | 0 | -0.8 | 0.2 | 3.1 |
| 2018 | -0.2 | -1.8 | 1.4 | -0.3 | 0.9 | 0.5 | -0.8 | 0.1 | 0.5 | 1.2 | 0.4 | 0.8 | 2.7 |
| 2019 | 0.2 | -0.1 | 1.7 | -0.8 | -1.2 | 0.5 | -1.3 | 0.4 | -1.7 | 1.4 | -0.8 | 0.1 | -1.7 |
| 2020 | -2.1 | -1.6 | -5.1 | -2.6 | 0.8 | -0.3 | -1.7 | 0.4 | 0 | -0.3 | 0.8 | 0.2 | -11 |
| 2021 | 1.1 | 2.2 | -0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-09-21 50.7 SPY 132. -0.00480 -0.0027 0.0134 0.0595 0.0906 0.286 0.336 GLD 58.0 1.21e-2 0.0133
2 2006-09-25 50.9 SPY 132. 0.0077 0.0026 0.0218 0.0599 0.0909 0.310 0.316 GLD 58.5 0. 0.0046
3 2006-09-26 51.3 SPY 134. 0.0083 0.0134 0.029 0.078 0.0987 0.332 0.313 GLD 58.7 4.10e-3 0.032
4 2006-09-27 51.6 SPY 134. 0.00120 0.00930 0.0254 0.0721 0.100 0.338 0.319 GLD 59.8 1.82e-2 0.0445
5 2006-09-28 51.8 SPY 134. -0.0004 0.0138 0.0238 0.0504 0.0988 0.325 0.307 GLD 59.8 -3.00e-4 0.0318
6 2006-10-02 52.0 SPY 133. -0.0037 0.0045 0.0187 0.0413 0.0816 0.304 0.276 GLD 59.2 -5.40e-3 0.0111
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
